| 청구기호 |
HG4637 .F66 2007 |
| 형태사항 |
x, 286 p.: ill.; 25 cm.
|
| 언어 |
English |
| 서지주기 |
Includes bibliographical references and index.
|
| 내용 |
Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices.
|
| 주제 |
Stock price forecasting --Mathematics.
Securities --Prices --Mathematical models.
Investment analysis --Mathematics.
|
| LCCN |
2007300193
|
| ISBN |
9780750683210 (hbk.)
075068321X (hbk.)
|
